The Altegris Mutual Funds

Transcription

1 The Altegris Mutual Funds Each a Series of Northern Lights Fund Trust Semi-Annual Report Altegris Futures Evolution Strategy Fund Altegris GSA Trend Strategy Fund Altegris Managed Futures Strategy Fund ADVISED BY Altegris Advisors, L.L.C Prospect Street Suite 400 La Jolla, CA

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3 Altegris Futures Evolution Strategy Fund PORTFOLIO REVIEW (Unaudited) The Fund's performance figures* for the period ended, compared to its benchmark: Annualized Since Inception Since Inception Six Months One Year Three Years Five Years February 16, 2012 October 31, 2011 Altegris Futures Evolution Strategy Fund - Class A 10.64% 8.62% 3.32% 6.95% N/A 5.26% Altegris Futures Evolution Strategy Fund - Class A with load ** 4.29% 2.35% 1.30% 5.69% N/A 4.25% Altegris Futures Evolution Strategy Fund - Class C 10.24% 7.88% 2.60% 6.17% 4.50% N/A Altegris Futures Evolution Strategy Fund - Class I 10.78% 8.99% 3.62% 7.23% N/A 5.55% Altegris Futures Evolution Strategy Fund - Class N 10.64% 8.63% 3.35% 6.95% N/A 5.26% Bank of America Merrill Lynch 3-Month Treasury Bill Index *** 0.55% 0.85% 0.41% 0.27% 0.25% 0.23% S&P 500 Total Return Index ^ 11.42% 21.83% 11.41% 15.79% 14.63% 15.51% SG Trend Index % 2.20% (1.36)% 3.36% 1.96% 2.37% * The Performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. The Fund's total annual operating expense ratios, before any fee waivers, are 1.99%, 2.74%, 1.74%, and 1.99% for Class A, Class C, Class I, and Class N shares, respectively, per the Fund's prospectus dated October 13, Class A shares are subject to a sales charge imposed on purchase of 5.75% and Class A and Class C Shares are subject to a maximum deferred sales charge of 1.00%. For performance information current to the most recent month-end, please call ** Class A with load total return is calculated using the maximum sales charge of 5.75%. *** Bank of America Merrill Lynch 3-Month Treasury Bill Index: Is an unmanaged index that measures the returns of three-month Treasury Bills. ^ S&P 500 Total Return Index is unmanaged and is generally representative of certain portions of the U.S. equity markets. + SG Trend Index calculates the net daily rate of return for a group of 10 trend following CTAs selected from the largest managers open to new investment. Holdings by Type of Investment as of % of Net Assets Bonds & Notes Asset Backed Securities 14.2% Whole Loan Collateral 10.9% Mortgage Backed Securities 7.1% U.S. Treasuries 6.8% U.S. Government Agency 4.9% Banks 3.2% Foreign Government 1.8% Oil&Gas 1.7% Other 11.3% Purchased Options 23.8% Other, Cash & Cash Equivalents 14.3% 100.0% Please refer to the Consolidated Portfolio of Investments and the Shareholder Letter in this semi-annual report for a detailed analysis of the Fund's holdings. 1

4 Altegris GSA Trend Strategy Fund PORTFOLIO REVIEW (Unaudited) The Fund's performance figures* for the period ended, compared to its benchmark: Since Inception Six Months March 17, 2017 Altegris GSA Trend Strategy Fund - Class A 8.51% (3.09)% Altegris GSA Trend Strategy Fund - Class A with load ** 2.32% (8.65)% Altegris GSA Trend Strategy Fund - Class I 8.85% (2.79)% Altegris GSA Trend Strategy Fund - Class N 8.51% (3.09)% SG Trend Index % 2.03% * The performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. The Fund's total annual operating expense ratios, gross of fee waivers or expense reimbursements, are 2.44%, 2.19%, and 2.44% for Class A, Class I, and Class N shares, respectively, per the Fund's prospectus dated October 13, Class A shares are subject to a maximum sales charge on purchases of 5.75% and Class A and C shares are subject to a maximum deferred sales charge of 1.00%. For performance information current to the most recent month-end, please call ** Class A with load total return is calculated using the maximum sales charge of 5.75%. + SG Trend Index calculates the net daily rate of return for a group of 20 CTAs selected from the largest managers open to new invesment. Holdings by Type of Investment as of % of Net Assets U.S. Treasury Bill 54.5% Other, Assets Less Liabilities 45.5% 100.0% Please refer to the Consolidated Portfolio of Investments and the Shareholder Letter in this semi-annual report for a detailed analysis of the Fund's holdings. 2

5 Altegris Managed Futures Strategy Fund PORTFOLIO REVIEW (Unaudited) The Fund's performance figures* for the period ended, compared to its benchmark: Annualized Six Months *** One Year Three Year Five Year Since Inception 8/26/2010 Since Inception 2/1/2011 Since Inception 3/13/2013 Altegris Managed Futures Strategy Fund - Class A 5.20% 0.95% 1.26% 1.31% 0.06% N/A N/A Altegris Managed Futures Strategy Fund - Class A with load ** (0.82)% (4.82)% (0.72)% 0.12% (0.74)% N/A N/A Altegris Managed Futures Strategy Fund - Class C 4.75% 0.12% 0.49% 0.55% N/A (1.46)% N/A Altegris Managed Futures Strategy Fund - Class I 5.37% 1.29% 1.54% 1.57% 0.31% N/A N/A Altegris Managed Futures Strategy Fund - Class O 5.20% 0.95% 1.27% N/A N/A N/A 1.05% Bank of America Merill Lynch 3 Month T- Bill Index *** 0.15% 0.49% 0.23% 0.17% 0.15% 0.16% 0.18% MSCI World Index **** 10.61% 22.40% 9.26% 11.64% 11.79% 9.09% 0.28% SG CTA Index % 2.48% (0.14)% 3.01% 1.69% 1.09% 14.30% * The Performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. Per the fee table in the Fund's October 13, 2017 prospectus, the total annual operating expense are 2.04%, 2.79%, 1.79%, and 2.04% for the Fund's Class A, Class C, Class I, and Class O shares, respectively. Class A shares are subject to a maximum sales charge imposed on purchases of 5.75%, while Class A and Class C shares are subject to a maximum deferred sales charge of 1.00%. For performance information current to the most recent month-end, please call ** Class A with load total return is calculated using the maximum sales charge of 5.75%. *** Bank of America Merrill Lynch 3 Month T-Bill Index is an unmanaged index that measures returns of three-month treasury bills. **** MSCI World Index is a stock market index of over 6,000 stocks from 24 developed countries around the globe. Investors cannot invest directly in an index. + SG CTA Index calculates the net daily rate of return for a group of 20 CTAs selected from the largest managers open to new invesment. Holdings by Type of Investment as of % of Net Assets Discount Agency Notes 17.9% Commercial Paper 10.1% Certificates of Deposit 4.9% Exchange Traded Funds - Equity Funds 3.7% Exchange Traded Funds - Debt Funds 3.6% Exchange Traded Funds - Commodity Funds 0.3% Exchange Traded Notes - Debt Funds 0.1% Other Assets Less Liabilities 59.4% 100.0% Please refer to the Consolidated Portfolio of Investments and the Shareholder Letter in this semi-annual report for a detailed analysis of the Fund's holdings. 3

6 Shares Altegris Futures Evolution Strategy Fund CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited) COMMON STOCK - 0.1% 5,202 Energy XXI Gulf Coast, Inc. $ 29,859 5,277 Frontera Energy Corp. 166,245 8,216 SandRidge Energy, Inc. 173,111 TOTAL COMMON STOCK (Cost - $1,485,149) 369,215 Value WARRANT * 150 Energy XXI Gulf Coast, Inc. (Cost - $3,341) 5 Principal Amount ($) Yield Maturity BONDS & NOTES % ADVERTISING - 0.0% * $ 280,000 Omnicom Group, Inc /15/ ,270 AEROSPACE / DEFENSE - 0.3% 88,000 Boeing Co /15/ , ,000 Lockheed Martin Corp /15/ , ,000 Northrop Grumman Corp /15/ ,561 80,000 Transdigm, Inc /15/ , ,000 United Technologies Corp /1/ , ,000 United Technologies Corp /4/ ,029 AGRICULTURE - 0.1% 1,755,252 25,000 BAT Capital Corp. 3 Month LIBOR (b,c) /15/ , ,000 BAT Capital Corp. (b) /14/ , ,000 Reynolds American, Inc /12/ , ,000 Reynolds American, Inc /12/ ,380 AIRLINES - 0.1% 320,000 Delta Airlines, Inc /15/ , ,253 Guanay Finance Limited /15/ ,001 AUTO MANUFACTURERS - 0.3% 90,000 American Honda Finance Corp /20/ , ,000 Daimler Finance North America LLC (b) /2/ , ,000 Daimler Finance North America LLC (b) /12/ , ,000 Ford Motor Co /16/ ,731 50,000 General Motors Co. 3 Month LIBOR (c) /7/ , ,000 General Motors Financial Co., Inc /13/ , ,000 General Motors Financial Co., Inc /13/ ,340 AUTO PARTS & EQUIPMENT - 0.0% * 785, ,530 1,795,002 65,000 Dana Financing Luxembourg Sarl (b) /15/ ,494 85,000 Delphi Technologies PLC (b) /1/ ,063 AUTOMOBILE ABS - 0.9% 1,000,000 Flagship Credit Auto Trust (b) /15/ ,481 1,000,000 OneMain Direct Auto Receivables Trust (b) /15/2021 1,002, ,000 Westlake Automobile Receivables Trust (b) /15/ ,971 1,000,000 Westlake Automobile Receivables Trust (b) /18/ ,795 2,000,000 Westlake Automobile Receivables Trust (b) /17/2022 2,000,128 BANKS - 3.2% 154,557 5,693, ,713 Agromercantil Senior Trust (b) /10/ , ,989 Agromercantil Senior Trust /10/ , ,670 Banco de Costa Rica /12/ , ,459 Banco de Credito del Peru/Panama /25/ ,000 54,077 Banco de Credito del Peru/Panama /16/ ,250 1,083,480 Banco del Estado de Chile /8/2022 1,093, ,594 Banco Internatcional del Peru SAA/Panama /7/ , ,256 Banco Nacional de Costa Rica /1/ , ,740 Banco Santander Chile /20/ ,788 1,224,161 Banco Santander Mexico SA 5 Year Treasury Note (c) /30/2024 1,248, ,623 Bancolombia SA /26/ , ,021 Bank of Montreal 5 Year Swap Rate (c) /15/ , ,643 Bank of Nova Scotia /14/ , ,000 BDO Unibank, Inc /24/ , ,014 BDO Unibank, Inc /6/ , ,142 Capital One Financial Corp /30/ , ,346 Citigroup, Inc /7/ , ,119 Citigroup, Inc. 3 Month LIBOR (c) /25/ , ,356 Citigroup, Inc. 3 Month LIBOR (c) /17/ , ,514 Commonwealth Bank of Australia (b) /10/ ,907 4

7 Principal Amount ($) Yield Maturity Value BANKS - 3.2% (Continued) $ 806,684 Corp. Financiera de Desarrollo SA /15/2019 $ 806, ,000 DBS Group Holdings Ltd. 3 Month LIBOR (b,c) /25/ , ,451 DBS Group Holdings Ltd. 3 Month LIBOR (c) /25/ , ,992 DBS Group Holdings Ltd. 5 Year Swap (c) /29/ , ,086 Global Bank Corp /20/ , ,725 Global Bank Corp. (b) /30/ , ,680 Goldman Sachs Group, Inc /13/ , ,640 Itau CorpBanca /22/ , ,791 JPMorgan Chase & Co /23/ , ,412 Malayan Banking Bhd 5 Year Swap 2.54 (c) /29/ , ,669 Morgan Stanley 3 Month LIBOR (c) /22/ , ,723 Morgan Stanley /19/ , ,000 Morgan Stanley 3 Month LIBOR (c) /22/ , ,964 MUFG Americas Holdings Corp /9/ ,931 10,070 MUFG Americas Holdings Corp /10/2020 9,946 1,114,281 Oversea-Chinese Banking, Corp, Ltd. 5 Year Swap (c) /15/2024 1,119, ,901 PNC Financial Services Group, Inc /11/ ,254 49,684 Royal Bank of Canada /29/ , ,730 Royal Bank of Scotland Group PLC 3 Month LIBOR (c) /15/ , ,455 Santander Holdings USA, Inc. (b) /18/ , ,419 Sumitomo Mitsui Financial Group, Inc /14/ , ,294 Sumitomo Mitsui Financial Group, Inc /9/ , ,415 United Overseas Bank Ltd. 5 Year Swap (c) /8/ , ,543 United Overseas Bank Ltd. 5 Year Swap (c) /19/ , ,032 Wells Fargo & Co /16/ , ,332 Wells Fargo & Co /30/ , ,094 Westpac Banking Corp /19/ , ,093 Westpac Banking Corp /23/ ,800 BEVERAGES - 0.1% 21,262, ,000 Anheuser-Bush InBev Finance, Inc /1/ , ,000 Molson Coors Brewing Co /15/ ,689 BIOTECHNOLOGY - 0.2% 475,000 Amgen, Inc /11/ , ,000 Celgene Corp /15/ ,105 CHEMICALS - 0.3% 327,563 1,133,479 85,000 Ashland LLC /15/ , ,000 Grupo Idesa SA de CV /18/ ,000 85,000 Hexion, Inc. (b) /1/ , ,000 Mosaic Co. (The) /15/ ,773 40,000 Platform Specialty Products Corp. (b) /1/ , ,000 Sherwin-Williams Co. (The) /15/ , ,000 UPL Corp. Ltd /13/ ,264 COAL - 0.0% * Altegris Futures Evolution Strategy Fund CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued) 1,904,097 70,000 Peabody Energy Corp. (b) /31/ ,625 COLLATERALIZED MORTGAGE OBLIGATIONS % U.S. GOVERNMENT AGENCY - 4.9% 343,302 Fannie Mae REMICS S 1 Month LIBOR (c,d) /25/ ,935 2,168,368 Fannie Mae REMICS NI 1 Month LIBOR (c,d) /25/ , ,157 Fannie Mae REMICS AS 1 Month LIBOR (c,d) /25/ , ,575 Fannie Mae REMICS PS 1 Month LIBOR (c,d) /25/ , ,214 Fannie Mae REMICS CS 1 Month LIBOR (c,d) /25/ , ,027 Fannie Mae REMICS ZA (d) /25/ , ,866 Fannie Mae REMICS DZ (d) /25/ , ,285 Fannie Mae REMICS ZK (c,d) /25/ , ,386 Fannie Mae REMICS SE (c,d) /25/ , ,781 Fannie Mae REMICS CS (c,d) /25/ , ,781 Fannie Mae REMICS SE (c,d) /25/ , ,979 Fannie Mae REMICS SC (c,d) /25/ , ,805 Fannie Mae REMICS UZ (d) /25/ , ,043 Fannie Mae REMICS KL (d) /25/ , ,009 Fannie Mae REMICS ES 1 Month LIBOR (c,d) /25/ , ,855 Fannie Mae REMICS EZ (d) /25/ ,565 1,169,498 Fannie Mae REMICS DS 1 Month LIBOR (c,d) /25/ ,869 1,258,119 Fannie Mae REMICS PZ (d) /25/2042 1,315,358 3,510,622 Fannie Mae REMICS SA 1 Month LIBOR (c,d) /25/ ,808 1,361,164 Fannie Mae REMICS ZP (d) /25/2042 1,259,663 1,361,869 Fannie Mae REMICS YS 1 Month LIBOR (c,d) /25/2043 1,121,128 5

8 Altegris Futures Evolution Strategy Fund CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued) Principal Amount ($) Yield Maturity Value COLLATERALIZED MORTGAGE OBLIGATIONS % U.S. GOVERNMENT AGENCY - 4.9% (Continued) $ 601,482 Fannie Mae REMICS DS 1 Month LIBOR (c,d) /25/2043 $ 534,231 1,158,066 Fannie Mae REMICS PS 1 Month LIBOR (c,d) /25/ ,166 1,781,561 Fannie Mae REMICS AP (d) /25/2042 1,802,319 2,045,453 Fannie Mae REMICS DZ (d) ** - 10/25/2046 1,898, ,628 Fannie Mae REMICS PA (d) /25/ ,206 89,000 Fannie Mae-Aces A /25/ ,948 67,000 Freddie Mac Multifamily Structured Pass Through Certificates K050 A2 (c,d) /25/ ,687 87,000 Freddie Mac Multifamily Structured Pass Through Certificates K053 A2 (d) /25/ ,382 10,562,327 Freddie Mac Multifamily Structured Pass Through Certificates K722 X1 (c,d) /25/ , ,066 Freddie Mac REMICS 2663 ZP (d) /15/ , ,675 Freddie Mac REMICS 2909 Z (d) /15/ , ,978 Freddie Mac REMICS 3257 SI 1 Month LIBOR (c,d) /15/ ,963 1,041,266 Freddie Mac REMICS 3404 SA 1 Month LIBOR (c,d) /15/ , ,374 Freddie Mac REMICS 3753 SB 1 Month LIBOR (c,d) /15/ , ,658 Freddie Mac REMICS 3770 SP 1 Month LIBOR (c,d) /15/ , ,021 Freddie Mac REMICS 3792 SE 1 Month LIBOR (c,d) /15/ ,645 89,031 Freddie Mac REMICS 3818 JA (d) /15/ , ,749 Freddie Mac REMICS 3926 FS 1 Month LIBOR (c,d) /15/ , ,060 Freddie Mac REMICS 3957 DZ (d) /15/ , ,098 Freddie Mac REMICS 3957 HZ (d) /15/ ,742 1,095,872 Freddie Mac REMICS 3984 DS 1 Month LIBOR (c,d) /15/ ,831 1,258,119 Freddie Mac REMICS 3998 AZ (d) /15/2042 1,324,836 2,585,536 Freddie Mac REMICS 4089 SH 1 Month LIBOR (c,d) /15/ , ,318 Freddie Mac REMICS 4229 MS 1 Month LIBOR (c,d) /15/ ,139 3,291,440 Freddie Mac REMICS 4255 GS 1 Month LIBOR (c,d) /15/ , ,586 Freddie Mac REMICS 4291 MS 1 Month LIBOR (c,d) /15/ ,919 2,344,956 Freddie Mac REMICS 4314 MS 1 Month LIBOR (c,d) /15/ ,685 1,220,796 Freddie Mac REMICS 4391 MA (d) /15/2040 1,232,713 5,519,233 Freddie Mac REMICS 4440 ZD (d) /15/2045 4,874,844 2,434,922 Government National Mortgage Association DS 1 Month LIBOR (c,d) /20/ ,569 3,805,310 Government National Mortgage Association SE 1 Month LIBOR (c,d) /20/ ,878 2,281,255 Government National Mortgage Association SC 1 Month LIBOR (c,d) /20/ ,650 2,224,063 Government National Mortgage Association BS 1 Month LIBOR (c,d) /20/ ,497 2,271,608 Government National Mortgage Association TZ (d) /20/2043 2,182, ,632 Government National Mortgage Association GS 1 Month LIBOR (c,d) /20/ , ,058 Government National Mortgage Association DS 1 Month LIBOR (c,d) /16/ ,499 1,964,721 Government National Mortgage Association SG 1 Month LIBOR (c,d) /16/ ,526 1,260,921 Government National Mortgage Association MS 1 Month LIBOR (c,d) /16/ ,041 2,627,660 Government National Mortgage Association SA 1 Month LIBOR (c,d) /20/ ,064 2,803,208 Government National Mortgage Association SG 1 Month LIBOR (c,d) /16/ ,676 2,643,029 Government National Mortgage Association SA 1 Month LIBOR (c,d) /20/ ,681 1,014,771 Government National Mortgage Association CS 1 Month LIBOR (c,d) /16/ ,906 2,202,993 Government National Mortgage Association CS 1 Month LIBOR (c,d) /16/ ,137 1,483,095 Government National Mortgage Association PS 1 Month LIBOR (c,d) /20/ ,023 32,439,925 WHOLE LOAN COLLATERAL % 480,022 Adjustable Rate Mortgage Trust M2 1 Month LIBOR (c) /25/ ,917 1,075,307 Alternative Loan Trust CB A /25/ ,827 6,615 Alternative Loan Trust CB 1A /25/2037 5,587 1,801,421 Alternative Loan Trust CB 1A /25/2037 1,547,980 1,795,506 Alternative Loan Trust CB 2A /25/2037 1,471,803 6,256 Alternative Loan Trust A /25/2037 4, ,468 Alternative Loan Trust 2007-J1 2A /25/ ,310 2,685,481 Alternative Loan Trust 2007-J2 2A /25/2037 1,898,265 2,468,533 American Home Mortgage Investment Trust A1 1 Month LIBOR (c) /25/2035 1,274,595 4,500,000 Bank of America Funding 2005-B 3M1 Trust 1 Month LIBOR (c) /20/2035 3,932, ,176 Bank of America Funding A1 Trust /25/ ,143 1,312,865 Bank of America Funding Trust TA3B (e) /25/2037 1,201, ,378 Bank of America Mortgage Trust 2A /25/ ,019 1,993,951 BCAP LLC 2010-RR6 Trust 1716 (b,c) /26/2036 1,614, ,861 Bear Stearns Asset Backed Securities I Trust 2004-AC2 2A /25/ , ,621 CHL Mortgage Pass-Through Trust 2004-HYB9 1A1 (c) /20/ , ,278 CHL Mortgage Pass-Through Trust A /25/ ,014 2,559,201 CHL Mortgage Pass-Through Trust A /25/2038 2,130, ,643 CHL Mortgage Pass-Through Trust A /25/ ,278 2,000,000 CIM Trust RR B2 (b,c) /27/2056 1,852,800 2,288 Citicorp Mortgage Securities Trust Series A /25/2037 2,281 1,475,605 Citigroup Mortgage Loan Trust A2 (b,c) /25/2036 1,192, ,221 CitiMortgage Alternative Loan Trust Series 2007-A1 2A /25/ , ,176 Credit Suisse First Boston Mortgage Securities Corp. 1A /25/ ,705 6

9 Altegris Futures Evolution Strategy Fund CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued) Principal Amount ($) Yield Maturity Value COLLATERALIZED MORTGAGE OBLIGATIONS % WHOLE LOAN COLLATERAL % (Continued) $ 1,022,497 Credit Suisse First Boston Mortgage Securities Corp. 5A /25/2035 $ 913, ,000 Credit Suisse Mortgage Trust /15/ , ,000 Credit Suisse Mortgage Trust /15/ , ,000 Credit Suisse Mortgage Trust /15/ ,553 1,431,012 Credit Suisse Mortgage Trust /25/2021 1,442,467 1,586,929 CSMC 2015-RPL3 Trust A1 (b,e) /25/2056 1,595, ,205 CSMC Mortgage-Backed Trust A /25/ , ,039 CSMC Mortgage-Backed Trust A /25/ , ,086 CSMC Mortgage-Backed Trust A /25/ , ,161 CSMC Series R 3A17 (b,c) /26/ , ,528 CSMC Series R 6A9 (b,c) /27/ ,578 1,000,000 CSMC Series R 3A5 (b,c) /27/ , ,179 CSMC Trust R 1A1 (b,c) /27/ ,864 1,113,678 Ellington Financial Mortgage Trust A1 (b,c) /25/2047 1,113,668 1,113,678 Ellington Financial Mortgage Trust A2 (b,c) /25/2047 1,113, ,258 Ellington Financial Mortgage Trust A3 (b,c) /25/ , ,475 First Horizon Alternative Mortgage Securities Trust 2005-AA4 1A1 (c) /25/ ,462 1,370,377 First Horizon Alternative Mortgage Securities Trust 2005-FA4 1A /25/2035 1,290,430 15,299 First Horizon Alternative Mortgage Securities Trust 2006-AA7 A1 (c) /25/ ,810 23,775 GSR Mortgage Loan Trust F 14A /25/ , ,668 GSR Mortgage Loan Trust 2005-AR7 3A1 (c) /25/ , ,046 GSR Mortgage Loan Trust 2006-AR1 3A1 (c) /25/ , ,319 GSR Mortgage Loan Trust F 2A /25/ , ,703 HomeBanc Mortgage Trust A1 1 Month LIBOR (c) /25/ ,723 2,045,709 HSI Asset Loan Obligation Trust 2007-AR1 (c) /25/2037 1,760,974 1,117,870 Impac Secured Assets Trust A1C 1 Month LIBOR (c) /25/ ,357 1,771,568 IndyMac IMSC Mortgage Loan Trust 2007-F2 1A /25/2037 1,625,613 50,558 JP Morgan Mortgage Trust 2007-S1 1A /25/ , ,146 JP Morgan Mortgage Trust 2007-S2 1A /25/ ,498 2,738,416 JP Morgan Mortgage Trust 2007-S2 1A /25/2037 2,408,048 1,107,702 Lehman Mortgage Trust A /25/2035 1,037, ,607 Lehman Mortgage Trust A /25/ , ,160 Lehman Mortgage Trust A /25/ , ,884 MASTR Adjustable Rate Mortgages Trust A1 (c) /25/ , ,471 Merrill Lynch Mortgage Investors Trust Series 2006-AF /25/ ,131 5,123 Morgan Stanley Mortgage Loan Trust A /25/2018 5, ,579 Morgan Stanley Mortgage Loan Trust AR 2A (c) /25/ , ,141 Morgan Stanley Mortgage Loan Trust A (c) /25/ ,115 1,087,520 Morgan Stanley Mortgage Loan Trust A /25/ , ,248 Morgan Stanley Reremic Trust 2012-R3 2A 1 Month LIBOR (b,c) /26/ ,801 1,379,147 Nomura Asset Acceptance Corp. Alternative Loan Trust Series A1A (e) /25/2047 1,204,457 20,703 Opteum Mortgage Acceptance Corp. Asset Backed Pass-Through Certificates AN (c) /25/ , ,469 PHH Alternative Mortgage Trust Series A /25/ , ,531 RALI Series 2006-QA1 1A21 Trust (c) /25/ ,282 1,278,870 RALI Series 2006-QO10 Trust A1 1 Month LIBOR (c) /25/2037 1,200, ,912 RALI Series 2006-QS10 Trust A /25/ , ,099 RALI Series 2006-QS12 2A3 Trust /25/ ,034 1,867,876 RALI Series 2007-QH5 AI1 Trust 1 Month LIBOR (c) /25/2037 1,651, ,666 RALI Series 2007-QS6 A6 Trust /25/ , ,046 Residential Asset Securitization Trust 2004-A /25/ , ,883 Residential Asset Securitization Trust 2006-A2 A /25/ , ,798 Residential Asset Securitization Trust 2006-A6 2A /25/ , ,126 Residential Asset Securitization Trust 2006-A11 1A /25/ , ,725 Residential Asset Securitization Trust 2007-A1 A /25/ , ,872 Residential Asset Securitization Trust 2007-A3 1A1 1 Month LIBOR (c) /25/ ,326 58,549 Residential Asset Securitization Trust 2007-A3 1A2 1 Month LIBOR (c) /25/ ,490 7,157 RFMSI Series 2003-S16 Trust A /25/2018 7, ,633 RFMSI Series 2006-S3 Trust A /25/ , ,472 RFMSI Series 2006-S7 Trust A /25/ , ,615 RFMSI Series 2006-S7 Trust A /25/ ,711 1,413,286 RFMSI Series 2006-S12 Trust 2A /25/2036 1,364, ,852 RFMSI Series 2007-S1 A5 Trust /25/ , ,003 RFMSI Series 2007-S2 A4 Trust /25/ , ,076 RFMSI Series 2007-S6 Trust 1A /25/ ,484 1,360,928 Sequoia Mortgage Trust A1 (c) /25/2043 1,297,281 2,628,352 Sequoia Mortgage Trust A11 (b,c) /25/2046 2,632,715 36,136 Structured Asset Securities Corp Mortgage Pass-through Certificates XS 2A2 (e) /25/ , ,293 WaMu Mortgage Pass-Through Certificates Series 2005-AR14 Trust 2A1 (c) /25/ ,183 1,083,368 Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust 2A /25/2035 1,018,111 8,414 Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust 2CB /25/2036 6,337 7

10 Altegris Futures Evolution Strategy Fund CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued) Principal Amount ($) Yield Maturity Value COLLATERALIZED MORTGAGE OBLIGATIONS % WHOLE LOAN COLLATERAL % (Continued) $ 1,462,485 Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust 1A /25/2037 $ 1,261, ,110 Wells Fargo Alternative Loan 2007-PA3 Trust 1A /25/ , ,562 Wells Fargo Mortgage Backed Securities Trust 3A /25/ , ,852 Wells Fargo Mortgage Backed Securities Trust 1A /25/ , ,785 Wells Fargo Mortgage Backed Securities Trust A /25/ , ,334 Wells Fargo Mortgage Backed Securities Trust 1A /25/ ,515 94,789 Wells Fargo Mortgage Backed Securities Trust A /25/ ,355 71,839,168 COMMERCIAL MBS - 7.1% 56,542 A10 Term Asset Financing LLC A1 (b) /15/ ,619 1,229,000 Atrium Hotel Portfolio Trust 1 Month LIBOR (b,c) /15/2019 1,215, ,000 BBCMS Mortgage Trust 2014-BXO E 1 Month LIBOR (b,c) /15/ ,830 7,862,021 BBCMS Mortgage Trust 2017-C1 XA (c) /15/ , ,000 BBCMS Mortgage Trust 2017-DELC C 1 Month LIBOR (b,c) /15/ , ,000 BBCMS Mortgage Trust 2017-DELC D 1 Month LIBOR (b,c) /15/ , ,000 BBCMS Mortgage Trust 2017-DELC E 1 Month LIBOR (b,c) /15/ , ,000 BBCMS Mortgage Trust 2017-DELC F 1 Month LIBOR (b,c) /15/ , ,000 BBCMS Mortgage Trust 2017-GLKS E 1 Month LIBOR (b,c) /15/ ,998 32,734,000 BB-UBS Trust 2012-SHOW XA (b,c) /5/2024 1,267,123 18,022,000 BB-UBS Trust 2012-SHOW XB (b,c) /5/ , ,000 BSPRT 2017 FL2 Issuer Ltd. A 1 Month LIBOR (b,c) /1/ , ,000 BSPRT 2017 FL2 Issuer Ltd. AS 1 Month LIBOR (b,c) /1/ , ,000 BSPRT 2017 FL2 Issuer Ltd. B 1 Month LIBOR (b,c) /1/ , ,000 BX Trust 2017-IMC D 1 Month LIBOR (b,c) /15/ , ,000 BX Trust 2017-IMC E 1 Month LIBOR (b,c) /15/ , ,000 BX Trust 2017-SLCT D 1 Month LIBOR (b,c) /15/ , ,000 BX Trust 2017-SLCT E 1 Month LIBOR (b,c) /15/ , ,000 BXMT 2017-FL1 Ltd. C 1 Month LIBOR (b,c) /14/ ,497 2,912,341 CD 2017-CD4 Mortgage Trust XA (c) /10/ , ,000 CFCRE Commercial Mortgage Trust 2016-C7 A /10/ ,018 6,384,069 CFCRE Commercial Mortgage Trust 2017-C8 XA /15/ ,839 2,302,000 CFCRE Commercial Mortgage Trust 2017-C8 XB /15/ , ,442 CGCMT 2010-RR2 Trust JA4B (b,c) /19/ , ,000 Chicago Skyscraper Trust 2017 B 1 Month LIBOR (b,c) /15/ , ,000 Chicago Skyscraper Trust 2017 C 1 Month LIBOR (b,c) /15/ , ,954 Citigroup Commercial Mortgage Trust 2008-C7 AM (c) /10/ , ,666 Citigroup Commercial Mortgage Trust 2012-GC8 XA (b,c) /10/ ,161 8,840,350 Citigroup Commercial Mortgage Trust 2014-GC21 XA (c) /1/ ,040 4,573,763 Citigroup Commercial Mortgage Trust 2014-GC25 XA (c) /10/ , ,600 Citigroup Commercial Mortgage Trust 2015-GC27 D (b,c) /10/ ,551 1,039,342 Citigroup Commercial Mortgage Trust 2015-GC35 XA (c) /10/ , ,000 Citigroup Commercial Mortgage Trust 2016-GC36 D (b) /10/ ,159 2,019,011 Citigroup Commercial Mortgage Trust 2016-GC36 XA (c) /10/ ,372 4,667,435 Citigroup Commercial Mortgage Trust 2016-P3 XA (c) /15/ , ,000 Citigroup Commercial Mortgage Trust 2016-P4 A /10/ , ,978 Citigroup Commercial Mortgage Trust 2016-P4 XA (c) /10/ ,015 1,078,989 Citigroup Commercial Mortgage Trust 2016-P5 XA /10/ ,111 90,000 Citigroup Commercial Mortgage Trust 2016-P6 A /10/ , ,000 Citigroup Commercial Mortgage Trust 2016-SMPL D (b) /10/ , ,000 CLNS Trust 2017-IKPR D 1 Month LIBOR (b,c) /11/ , ,000 CLNS Trust 2017-IKPR E 1 Month LIBOR (b,c) /11/ ,422 38,000 CLNS Trust 2017-IKPR F 1 Month LIBOR (b,c) /11/ , ,000 Cold Storage Trust 2017-ICE3 A 1 Month LIBOR (b,c) /15/ , ,000 Cold Storage Trust 2017-ICE3 C 1 Month LIBOR (b,c) /15/ , ,226 COMM 2006-GG7 Mortgage Trust (c) /10/ , ,557 COMM 2012-CCRE3 Mortgage Trust XA (c) /15/ , ,000 COMM 2012-CCRE4 Mortgage Trust D /15/ , ,096 COMM 2012-LC4 Mortgage XA Trust (b,c) /10/ ,684 9,530,184 COMM 2013-CCRE12 Mortgage Trust XA (c) /10/ ,047 11,009,848 COMM 2013-LC6 Mortgage Trust XA /10/ , ,000 COMM 2014-CCRE20 Mortgage Trust 2014-CR20 C (c) /10/ , ,625 COMM 2014-UBS4 E Mortgage Trust (b) /10/ , ,150 COMM 2014-UBS4 F Mortgage Trust (b) /10/ ,235 1,207,795 COMM 2014-UBS4 G Mortgage Trust (b) /10/ ,031 5,000 COMM 2014-UBS4 V Mortgage Trust (b,c) /10/ ,000 COMM 2016-DC2 C Mortgage Trust (c) /10/ , ,580 COMM 2016-DC2 XA Mortgage Trust (c) /10/ , ,000 COMM 2016-GCT Mortgage E Trust (b,c) /10/ ,278 5,917,984 COMM 2017-COR2 XA Mortgage Trust (c) /10/ ,509 88,000 Commercial Mortgage Pass Through Certificates C (c) /10/ ,644 8

11 Altegris Futures Evolution Strategy Fund CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued) Principal Amount ($) Yield Maturity Value COLLATERALIZED MORTGAGE OBLIGATIONS % COMMERCIAL MBS - 7.1% (Continued) $ 391,000 Cosmopolitan Hotel Trust 2017 E 1 Month LIBOR (b,c) /15/2034 $ 392, ,000 Cosmopolitan Hotel Trust 2017 F 1 Month LIBOR (b,c) /15/ ,326 20,453 Countrywide Commercial Mortgage Trust 2007-MF1 A (b,c) /12/ , ,732 Credit Suisse Commercial Mortgage Trust Series 2008-C1 AM (b,c) /15/ , ,000 Credit Suisse Mortgage Capital Certificates D 1 Month LIBOR (b,c) /15/ ,386 57,000 Credit Suisse Mortgage Capital Certificates E 1 Month LIBOR (b,c) /15/ ,141 1,962,030 CSAIL 2015-C1 Commercial Mortgage Trust XA (c) /15/ ,779 7,963,367 CSAIL 2017-C8 Commercial Mortgage Trust XA (c) /15/ ,657 10,071,407 CSAIL 2017-CX9 Commercial Mortgage Trust XA (c) /15/ ,361 10,576,000 CSAIL 2017-CX10 Commercial Mortgage Trust XA (c) /15/ , ,000 CSMC Trust 2017-LSTK C (b) /5/ , ,000 CSMC Trust 2017-LSTK D (b,c) /5/ , ,800 GE Commercial Mortgage Corp. Series 2007-C1 Trust AM (c) /10/ , ,000 Great Wolf Trust 2017 D 1 Month LIBOR (b,c) /15/ , ,000 Great Wolf Trust 2017 E 1 Month LIBOR (b,c) /15/ , ,000 Great Wolf Trust 2017 F 1 Month LIBOR (b,c) /15/ , ,000 GS Mortgage Securities Corp. Trust K E 1 Month LIBOR (b,c) /15/ , ,000 GS Mortgage Securities Corp. Trust K F 1 Month LIBOR (b,c) /15/ , ,000 GS Mortgage Securities Corp. Trust K G 1 Month LIBOR (b,c) /15/ , ,923 GS Mortgage Securities Trust 2013-GCJ14 A /10/ , ,000 GS Mortgage Securities Trust 2014-GC26 (b,c) /10/ ,845 8,202,112 GS Mortgage Securities Trust 2015-GC28 (c) /10/ ,992 1,383,800 GS Mortgage Securities Trust 2015-GS1 (c) /10/ , ,000 GS Mortgage Securities Trust 2017-GS8 C (c) /10/ ,309 7,925,000 GS Mortgage Securities Trust 2017-GS8 XA /10/ , ,856 Invitation Homes 2015-SFR3 Trust A /17/ ,011 37,429 JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP8 X (c) /15/ ,036 JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9 AM /15/ , ,000 JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9 AMS /15/ , ,251 JP Morgan Chase Commercial Mortgage Securities Trust 2007-C1 AM (c) /15/ , ,898 JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC18 AM (c) /12/ , ,116 JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP10 AM (c) /15/ , ,938 JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP11 AM (c) /5/ , ,422 JP Morgan Chase Commercial Mortgage Securities Trust 2008-C2 A /12/ , ,712 JP Morgan Chase Commercial Mortgage Securities Trust 2012-C6 XA (c) /15/ ,114 1,703,204 JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8 XA (c) /15/ , ,167 JP Morgan Chase Commercial Mortgage Securities Trust 2012-CIBX XA (c) /15/ , ,300 JP Morgan Chase Commercial Mortgage Securities Trust 2014-DSTY A (b) /10/ , ,112 JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL6 A /15/ , ,000 JP Morgan Chase Commercial Mortgage Securities Trust 2014-FRR /27/ , ,000 JP Morgan Chase Commercial Mortgage Securities Trust 2014-PHH A 1 Month LIBOR (b,c) /15/ , ,000 JP Morgan Chase Commercial Mortgage Securities Trust 2016-ASH B /15/ , ,000 JP Morgan Chase Commercial Mortgage Securities Trust 2016-ASH C /15/ ,122 34,000 JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP2 B /15/ ,383 26,000 JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP2 C (c) /15/ , ,044 JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP2 XA (c) /15/ , ,000 JP Morgan Chase Commercial Mortgage Securities Trust 2016-WIKI E (b,c) /5/ , ,000 JP Morgan Chase Commercial Mortgage Securities Trust 2017-MAUI C 1 Month LIBOR (b,c) /15/ , ,000 JP Morgan Chase Commercial Mortgage Securities Trust 2017-MAUI D 1 Month LIBOR (b,c) /15/ , ,000 JP Morgan Chase Commercial Mortgage Securities Trust 2017-MAUI E 1 Month LIBOR (b,c) /15/ , ,000 JP Morgan Chase Commercial Mortgage Securities Trust 2017-MAUI F 1 Month LIBOR (b,c) /15/ ,123 1,804,162 JPMBB Commercial Mortgage Securities Trust 2014-C21 XA (c) /15/ ,071 9,751,451 JPMBB Commercial Mortgage Securities Trust 2014-C25 XA (c) /15/ , ,000 JPMBB Commercial Mortgage Securities Trust 2014-C26 C (c) /15/ , ,473 JPMBB Commercial Mortgage Securities Trust 2014-C26 XA (c) /15/ , ,500 JPMBB Commercial Mortgage Securities Trust 2015-C27 D (b,c) /15/ ,684 1,189,970 JPMBB Commercial Mortgage Securities Trust 2015-C27 XA (c) /15/ , ,000 JPMBB Commercial Mortgage Securities Trust 2015-C32 C (c) /15/ ,039 87,000 JPMBB Commercial Mortgage Securities Trust 2015-C33 C (c) /15/ ,938 86,000 JPMBB Commercial Mortgage Securities Trust 2016-C1 C (c) /15/ ,418 13,278,668 JPMDB Commercial Mortgage Securities Trust 2017-C5 XA (c) /15/ , ,678 LB-UBS Commercial Mortgage Trust 2006-C7 XCL (b,c) /15/ ,065 LB-UBS Commercial Mortgage Trust 2006-C7 XW (b,c) /15/ ,000 LCCM Mortgage Trust 2014-PKMD MRC (b,c) /14/ , ,000 LMREC 2015-CRE1, Inc. A 1 Month LIBOR (b,c) /22/ ,909 21,165 Merrill Lynch Mortgage Trust 2006-C1 AJ (c) /12/ , ,000 Merrill Lynch Mortgage Trust 2007-C1 AM (c) /12/ , ,897 Morgan Stanley Bank of America Merrill Lynch Trust 2012-C5 XA (b,c) /15/ , ,000 Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18 C (c) /15/ , ,000 Morgan Stanley Bank of America Merrill Lynch Trust 2014 C19 C /15/ ,760 9

12 Altegris Futures Evolution Strategy Fund CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued) Principal Amount ($) Yield Maturity Value COLLATERALIZED MORTGAGE OBLIGATIONS % COMMERCIAL MBS - 7.1% (Continued) $ 72,000 Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25 C (c) /15/2048 $ 75, ,000 Morgan Stanley Bank of America Merrill Lynch Trust 2015-C26 D (b) /15/ ,734 91,000 Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29 C (c) /15/ ,038 94,000 Morgan Stanley Bank of America Merrill Lynch Trust 2016-C32 A /15/ ,331 36,889 Morgan Stanley Capital I Trust 2007-HQ11 AJ (c) /12/ ,847 8,805 Morgan Stanley Capital I Trust 2007-IQ16 AMA (c) /12/2049 8, ,007 Morgan Stanley Capital I Trust 2011-C1 XA (b,c) /15/2047 3, ,000 Morgan Stanley Capital I Trust 2015-XLF1 D 1 Month LIBOR (b,c) /14/ ,128 76,000 Morgan Stanley Capital I Trust 2015-XLF2 AFSC 1 Month LIBOR (b,c) /15/ , ,246 Morgan Stanley Capital I Trust 2016-UB11 XA (c) /15/ , ,000 Morgan Stanley Capital I Trust 2017-ASHF D 1 Month LIBOR (b,c) /15/ , ,000 Morgan Stanley Capital I Trust 2017-ASHF E 1 Month LIBOR (b,c) /15/ , ,000 Morgan Stanley Capital I Trust 2017-ASHF F 1 Month LIBOR (b,c) /15/ , ,000 Morgan Stanley Capital I Trust 2017-CLS E 1 Month LIBOR (b,c) /15/ , ,000 Morgan Stanley Capital I Trust 2017-CLS F 1 Month LIBOR (b,c) /15/ , ,097 Morgan Stanley Capital I Trust 2017-PRME A /15/ ,094 88,000 Morgan Stanley Capital I Trust 2017-PRME D /15/ , ,000 MSCG Trust 2016-SNR C /13/ ,721 38,555 PFP Ltd. A 1 Month LIBOR (b,c) /14/ ,650 34,000 PFP Ltd. AS 1 Month LIBOR (b,c) /14/ ,154 20,000 PFP Ltd. B 1 Month LIBOR (b,c) /14/ ,073 21,000 PFP Ltd. C 1 Month LIBOR (b,c) /14/ ,078 88,988 RAIT 2017-FL7 Trust A 1 Month LIBOR (b,c) /15/ ,101 25,000 RAIT 2017-FL7 Trust AS 1 Month LIBOR (b,c) /15/ , ,000 Rosslyn Portfolio Trust 2017-ROSS A 1 Month LIBOR (b,c) /15/ , ,000 Rosslyn Portfolio Trust 2017-ROSS B 1 Month LIBOR (b,c) /15/ , ,564 SG Commercial Mortgage Securities Trust 2016-C5 XA (c) /10/ , ,173 Sutherland Commercial Mortgage Loans 2015-SBC4 LLC A (b) /25/ , ,333 TRU Trust 2016-TOYS A 1 Month LIBOR (b,c) /15/ , ,426 UBS-Barclays Commercial Mortgage Trust 2012-C3 XA (b,c) /10/ ,995 4,408,833 UBS Commercial Mortgage Trust 2012-C1 XA (b,c) /10/ , ,000 UBS Commercial Mortgage Trust 2017-C6 C (c) /15/ ,867 95,300 Wachovia Bank Commercial Mortgage Trust Series 2006-C26 AM (c) /15/ , ,594 Wachovia Bank Commercial Mortgage Trust Series 2006-C28 AJ (c) /15/ , ,000 Wachovia Bank Commercial Mortgage Trust Series 2007-C33 AJ (c) /15/ , ,814 Wachovia Bank Commercial Mortgage Trust Series 2007-C33 AM (c) /15/ , ,000 Wells Fargo Commercial Mortgage Trust 2014-LC16 D (b) /15/ ,397 6,452,397 Wells Fargo Commercial Mortgage Trust 2015-C26 XA (c) /15/ ,729 75,000 Wells Fargo Commercial Mortgage Trust 2015-C31 C (c) /15/ ,151 1,229,396 Wells Fargo Commercial Mortgage Trust 2015-C31 XA (c) /15/ ,851 1,042,385 Wells Fargo Commercial Mortgage Trust 2015-LC20 XA (c) /15/ ,135 60,000 Wells Fargo Commercial Mortgage Trust 2015-LC22 C (c) /15/ , ,000 Wells Fargo Commercial Mortgage Trust 2015-NXS3 C (c) /15/ ,875 4,373,074 Wells Fargo Commercial Mortgage Trust 2016-BNK1 XA (c) /15/ ,189 61,000 Wells Fargo Commercial Mortgage Trust 2016-C32 C (c) /15/ ,328 89,000 Wells Fargo Commercial Mortgage Trust 2016-C34 C (c) /15/ , ,688 Wells Fargo Commercial Mortgage Trust 2016-LC24 XA (c) /15/ ,275 1,049,793 Wells Fargo Commercial Mortgage Trust 2016-NXS6 XA /15/ ,107 2,605,298 Wells Fargo Commercial Mortgage Trust 2017-RB1 XA (c) /15/ , ,057 WFRBS Commercial Mortgage Trust 2012-C8 XA (b,c) /15/ , ,120 WFRBS Commercial Mortgage Trust 2012-C9 XA (b,c) /15/ , ,808 WFRBS Commercial Mortgage Trust 2014-C21 XA (c) /15/ ,020 COMMERCIAL SERVICES - 0.3% 46,984, ,000 Adani Ports & Special Economic Zone Ltd /29/ , ,959 ENA Norte Trust /25/2028 1,039,957 80,000 Prime Security Services Borrower LLC / Prime Finance, Inc. (b) /15/ ,800 65,000 S&P Global, Inc /15/ ,428 2,108,469 COMPUTERS - 0.0% * 40,000 Riverbed Technology, Inc. (b) /1/ ,750 DIVERSIFIED FINANCIAL SERVICES - 0.6% 150,000 Ally Financial, Inc /30/ , ,000 American Express Credit Corp /1/ , ,000 Discover Financial Services /9/ , ,000 Fondo Mivivienda SA /2/ , ,000 Fondo Mivivienda SA /31/ , ,279 Interoceanica IV Finance Ltd. ** - 11/30/ , ,000 National Rural Utilities Cooperative Finance Corp /15/ ,813 80,000 NFP Corp. (b) /15/ ,600 10

13 Principal Amount ($) Yield Maturity Value DIVERSIFIED FINANCIAL SERVICES - 0.6% (Continued) $ 102,206 Peru Enhanced Pass-Through Finance Ltd. ** - 5/31/2018 $ 100,302 1,000,000 SPARC EM SPC Panama Metro Line 2 SP ** - 12/5/ , ,000 SPARC EM SPC Panama Metro Line 2 SP (b) ** - 12/5/ , ,000 Synchrony Financial /15/ , ,000 Synchrony Financial /1/ ,981 3,764,503 ELECTRIC - 0.4% 200,000 AES Andres BV / Dominican Power Partners / Empresa Generadora de Electricidad It (b) /11/ , ,000 American Electric Power Co., Inc /13/ ,418 50,000 American Electric Power Co., Inc /13/ , ,000 Berkshire Hathaway Energy Co /15/ , ,000 Consolidated Edison, Inc /15/ , ,000 Engie Energia Chile SA /15/ , ,000 Exelon Corp /15/ , ,000 Fortis, Inc /4/ , ,000 Grupo Energia Bogota SA ESP /10/ , ,000 Israel Electric Corp. Ltd /21/ ,500 75,000 NextEra Energy Capital Holdings, Inc /1/ ,398 90,000 NextEra Energy Operating Partners LP (b) /15/ ,550 85,000 Southern Co /1/ , ,000 Southern Co /1/ , ,000 SP PowerAssets Ltd /14/ ,176 ELECTRONICS - 0.0% * Altegris Futures Evolution Strategy Fund CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued) 2,840, ,000 Arrow Electronics, Inc /12/ ,086 ENGINEERING & CONSTRUCTION - 0.0% * 50,000 Brand Industrial Services, Inc. (b) /15/ , ,000 OAS Financial Ltd. (b,f) ** - 12/31/ ,250 ENTERTAINMENT - 0.1% 80,000 Eldorado Resorts, Inc /1/ ,600 65,000 GLP Capital LP / GLP Financing II, Inc /15/ , ,000 Pinnacle Entertainment, Inc /1/ ,000 85,000 Six Flags Entertainment Corp. (b) /31/ ,275 FOOD - 0.3% 80,000 B&G Foods, Inc /1/ , ,000 General Mills, Inc /21/ , ,000 Grupo Bimbo SAB de CV /30/ ,902 60,000 JBS USA LLC / JBS USA Finance, Inc. (b) /1/ ,975 5,000 JBS USA LLC / JBS USA Finance, Inc. (b) /1/2021 5, ,000 Kroger Co /15/ , ,000 Kroger Co /15/ ,957 85,000 Pilgrim's Pride Corp. (b) /15/ ,869 85,000 Post Holdings, Inc. (b) /1/ , ,000 Smithfield Foods, Inc. (b) /1/ , ,000 Sysco Corp /15/ ,478 FOREIGN GOVERNMENT - 1.8% 1,050,000 Chile Government International Bond /30/2022 1,035,825 66, ,588 2,148, ,000 Chile Government International Bond /21/ , ,000 Chile Government International Bond /14/ , ,000 Costa Rica Government International Bond /1/ , ,000 Dominican Republic International Bond /6/ , ,000 Export-Import Bank of India /1/ , ,000 Export-Import Bank of India /20/ , ,000 Export-Import Bank of India /14/ , ,000 Indonesia Government International Bond /8/ , ,000 Indonesia Government International Bond /5/ , ,000 Israel Government International Bond /16/ , ,000 Israel Government International Bond /30/ , ,000 Malaysia Sovereign Sukuk Bhd /22/ ,600 1,000,000 Mexico Government International Bond /15/2022 1,039,000 50,000 Mexico Government International Bond /2/ , ,000 Mexico Government International Bond /28/ , ,000 Panama Government International Bond /22/ , ,000 Perusahaan Penerbit SBSN Indonesia III (b) /29/ , ,000 Perusahaan Penerbit SBSN Indonesia III /15/ , ,000 Philippine Government International Bond /2/ ,635 1,400,000 Philippine Government International Bond /15/2021 1,468,351 11